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2025 (scheduled)

“What Drives Trading in Financial Markets? A Big Data Perspective”

Shikun Ke and Anton Lines

AFA Annual Meeting, San Francisco, scheduled in Jan 2025

2024:

“Large Language Models and Return Prediction in China”

by Lin Tan, Huihang Wu, and Xiaoyan Zhang

ABFER webinar, scheduled in Nov 2024

[slides]

“Asset Embeddings”

by Xavier Gabaix, Ralph S.J. Koijen, Robert J. Richmond, Motohiro Yogo

ABFR webinar, Sep 2024

[slides] [YouTube]

“Crash Narratives”

William Goetzmann, Dasol Kim, and Robert Shiller

SFS Cavalcade NA, Atlanta, May 2024

[slides]

2023:

“Peer-Reviewed Theory Does Not Help Predict the Cross-Section of Stock Returns”

Andrew Y. Chen, Alejandro Lopez-Lira, and Tom Zimmermann

FutFinInfo, Paris, May 2023

[slides]

“Anomalies in the Age of Machine”

Fuwei Jiang, Lingchao Meng, Yiming Wang, and Guofu Zhou

Econometric Society Asia Meeting, online, Jun 2023

[slides]

“Dynamic Competition and Expected Returns”

Ilona Babenko, Oliver Boguth, and Yuri Tserlukevich

AFA Annual Meeting, New Orleans, Jan 2023

2022:
“Do Banks Overreact to Disaster Risk?”

Qianqian Huang, Feng Jiang, Yuhai Xuan, Tao Yuan

CICF, online, Jun 2022

Peer Momentum

by Efdal Ulas Misirli, Daniela Scida, and Mihail Velikov, DC-Area Junior Conference
 

Economic Narratives and Market Outcomes: A Semi-supervised Topic Modeling Approach

by Dat Mai and Kuntara Pukthuanthong, MFA Annual Meeting
 

The Temporal Structure of Risk and the Cross-Section of Equity Returns

by Shane Miller, AFA Annual Meeting
 

2021:
Skewness and time-varying second moments in a nonlinear production network: theory and evidence

by Ian Dew-Becker, Alireza Tahbaz-Salehi, and Andrea Vedolin, Shanghai Financial Forefront Symposium
 

A Structural Model of Interbank Network Formation and Contagion

by Patrick Coen and Jamie Coen, SaMMF OTC Markets Workshop
 

2020:
Non-Market Factors and the CAPM: the Market Index Effect
by Michael F. Ferguson, Babak Lotfaliei, and Timothy E. Trombley, FMA Virtual Conference

 

One Vol to Rule Them All: Common Volatility Dynamics in Factor Returns
by Nishad Kapadia, Matthew Linn, and Bradley S. Paye, EFA Annual Meeting

Risk Factors that Matter: Textual Analysis of Risk Disclosures for the Cross-Section of Returns
by Alejandro Lopez-Lira, SFS Cavalcade NA 2020

 

2019:
A Toolkit for Factor-Mimicking Portfolios
by Kuntara Pukthuanthong, Richard Roll, Junbo Wang, Tengfei Zhang, CICF 2019

 

q^5
by Kewei Hou, Haitao Mo, Chen Xue, and Lu Zhang, Carey Finance Conference

 

Factors that Fit the Time Series and Cross-Section of Stock Returns
by Martin Lettau, Markus Pelger, SFS Cavalcade NA 2019

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